It's not dangerous at all if you do it correctly. If you live in a very salty area like I used to, you basically need to add antisieze or when you have a flat you won't be able to get your wheel off.

I've been lubing my studs for over 25 years. No issues. Torque them a little higher.

I think the fear is from a lack of knowledge. Plenty of vital bolts and studs in your engine are lubricated without locking features and don't come loose. It's all about knowing the amount of vibration and correct torque specs.

Sure an automated blast furnace needs lube AND lock wires or Nord-Locks or similar.

In some applications it's required, but not usually with lug nuts. The main one I can think of is Honda crankshaft bolts say to put oil on the washer and bolthead surface before torquing, and the torque spec is adjusted accordingly (still 181 ft-lbs tho!).

The most I ever do for lug nuts is just wire brush off any rust so the surface is clean, and re-torque after about 100 miles (I check them occasionally after spirited driving too, since hot brakes and things cause thermal expansion that can loosen things up on newly installed wheels). I don't drive somewhere with salt, otherwise I'd maybe try using anti-seize like I saw someone else mention.